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Underlying

C$1,000,000 nominal value of Canadian bankers' acceptances with a three-month maturity.

Expiry cycle

Quarterlies: March, June, September and December.

Serials: two (2) nearest non-quarterly months.

Price quotation

Index: 100 minus the yield in percentage point on an annual basis for a 365-day year on Canadian bankers' acceptances with a three-month maturity.

Minimum price fluctuation

0.005 = C$12.50 per contract for the six (6) nearest listed contract months, including serials

0.01 = C$25.00 per contract for all other contract months

Contract type

Cash-settled.

Last trading day

Trading ceases at 10:00 a.m. (Montréal time) on the second London (Great Britain) banking day preceding the third Wednesday of the contract month, provided it is a business day. If it is not a business day, trading will cease on the first preceding business day.

Expiration day

Expiration occurs on the last trading day.

Final settlement price

Based on the average bid-rate of Canadian bankers' acceptance with a three-month maturity, as quoted on CDOR on the last trading day at 10:15 a.m., excluding the highest and the lowest values.

Position reporting threshold

300 contracts.

Position limit

Information on position limits can be obtained from the Bourse as they are subject to periodic changes. See Circulars.

Price limit

None.

Minimum margin requirements

Information on minimum margin requirements can be obtained from the Bourse as they are subject to periodic changes. See the Futures contracts margin rates page on the Regulatory Division website.